AAXJ Options History — April 2014

In April 2014, AAXJ traded between $59.44 and $60.97. ATM implied volatility averaged 15.7%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.8% (HV 20d: 11.9%). Max pain ranged from $57.00 to $61.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.00.

Notable Days

  • 2014-04-29: Highest Volume — 63 contracts
  • 2014-04-10: Largest IV spike — 19.6% change
  • 2014-04-15: Highest IV Rank — 41.0%
  • 2014-04-15: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.19$59.44$60.97$59.83$59.62
Max Pain$59.42$57.00$61.00$57.00$61.00
ATM IV15.7%14.2%17.9%14.8%14.2%
Expected Move4.6%4.1%5.1%4.2%4.1%
HV 20d11.9%9.9%14.4%14.4%10.3%
HV 60d15.2%13.5%15.9%15.8%13.5%
IV Rank27.5%17.8%41.0%21.8%17.8%
IV Percentile19.5%6.7%40.1%14.7%6.7%
Term Structure1.0%0.2%2.2%1.5%2.2%
VWIV15.9%14.8%17.0%17.0%14.8%
Skew 25d3.2%2.2%3.9%2.2%2.2%
Skew 10d7.1%4.6%13.8%4.6%6.5%
Call IV 25d15.1%13.6%16.3%14.4%13.6%
Put IV 25d18.2%15.8%19.8%16.6%15.8%
Bid-Ask Spread %49.4428.8487.6785.9072.27
Gamma HHI0.640.420.690.680.42
Net GEX-26.8K-31.0K-16.0K-28.5K-16.0K
Net DEX262.0K113.1K312.5K290.2K113.1K
Net VEX-3.2K-3.8K-2.9K-3.5K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.000.0012.0012.000.00
Total Volume3.85706300
Total OI384.381369447380447

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$59.83$57.0014.8%4.2%14.4%21.8%0.0%2.2%1.5%-28.5K290.2K-3.5K0.0085.90N/AN/A0016364
2014-04-02$59.94$57.0014.7%4.2%14.4%21.3%0.0%2.7%1.3%-27.7K277.5K-3.5K0.0086.94N/AN/A0015364
2014-04-03$59.78$57.0014.2%4.1%13.9%18.2%0.0%2.3%1.8%-29.1K291.8K-3.5K0.0087.67N/AN/A0215364
2014-04-04$59.65$0.0014.2%4.7%13.4%17.9%0.0%3.1%0.6%-29.0K284.9K-3.5K0.0031.54N/AN/A0015366
2014-04-07$59.53$0.0014.7%4.7%13.1%21.0%17.0%3.2%0.8%-29.3K303.0K-3.4K0.0028.84N/AN/A0115366
2014-04-08$60.42$59.0015.0%4.8%13.5%23.0%0.0%2.4%0.3%-26.4K254.5K-3.1K0.0032.46N/AN/A0015367
2014-04-09$60.97$59.0014.2%4.8%13.6%18.2%0.0%3.4%0.3%-24.3K236.0K-3.1K0.0041.39N/AN/A0015367
2014-04-10$60.80$59.0017.1%4.9%12.0%35.9%0.0%3.4%0.6%-25.1K236.8K-3.1K0.0034.01N/AN/A0015367
2014-04-11$60.67$59.0016.7%4.8%12.1%33.8%0.0%3.0%0.9%-25.3K259.7K-3.1K0.0035.24N/AN/A0015367
2014-04-14$60.84$59.0016.6%4.8%11.9%33.1%0.0%3.3%1.2%-25.0K250.4K-3.1K0.0040.58N/AN/A0015367
2014-04-15$60.25$59.0017.9%5.1%12.6%41.0%0.0%3.7%0.2%-26.5K278.3K-3.4K0.0034.08N/AN/A0015367
2014-04-16$60.74$59.0016.4%4.7%10.4%31.8%0.0%3.2%1.0%-25.3K252.1K-3.1K0.0037.21N/AN/A0015367
2014-04-17$60.87$59.0016.3%4.7%9.9%31.0%0.0%3.7%0.7%-24.7K232.9K-3.0K0.0040.67N/AN/A0015367
2014-04-21$60.59$59.0016.0%4.6%10.3%29.3%16.0%3.8%1.0%-25.6K247.3K-3.0K12.0039.08N/AN/A11214355
2014-04-22$60.40$61.0016.6%4.8%10.3%32.8%0.0%3.9%0.8%-27.6K259.5K-3.0K0.0041.73N/AN/A0015367
2014-04-23$60.02$61.0016.3%4.7%10.6%30.9%14.8%3.5%0.8%-29.1K283.1K-3.2K0.0044.19N/AN/A2015367
2014-04-24$60.13$61.0015.9%4.6%10.5%28.8%0.0%3.6%0.9%-27.9K267.9K-3.0K0.0050.79N/AN/A0017367
2014-04-25$59.44$61.0016.3%4.7%11.3%31.4%0.0%3.7%1.5%-31.0K312.5K-3.2K0.0055.34N/AN/A0017367
2014-04-28$59.50$61.0016.8%4.8%10.8%34.0%0.0%3.8%0.9%-30.8K301.3K-3.2K0.0053.11N/AN/A0017367
2014-04-29$59.96$61.0015.3%4.4%11.0%24.6%0.0%3.0%1.4%-28.4K268.8K-2.9K0.0065.15N/AN/A63017367
2014-04-30$59.62$61.0014.2%4.1%10.3%17.8%0.0%2.2%2.2%-16.0K113.1K-3.8K0.0072.27N/AN/A0080367